Weather you have the bags delivered to your room or not depends on if you go through customs in Canada or in the US, If going through in Canada, Disney will take your Bags directly to your room.. If going through in the US you have to get your luggage first (Than customs)... I believe it really depends on your flight (that is what we were told at the airport last year)
We went through in Canada last year and thought our luggage had been lost, when they went to our room But someone at the airport explained this to us....
I'm not sure how long it took for them to get there because we went to the park and didnt return for hours after, and it was in our room by then..
But regardless you can use the magical express bus, Its great! Especially if you are not renting a car!